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STochastic Modeling of Electricity and Related Markets
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The Risk Premium and the Esscher Transform in Power Markets
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On the sensitivity analysis of energy quanto options
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The Implied Market Price of Weather Risk
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Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk
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A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures
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Polynomial Processes for Power Prices
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The valuation of clean spread options: linking electricity, emissions and fuels
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Estimation methods for expected shortfall
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Modelling electricity prices: a time change approach
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A joint model for temperature and natural gas with an application to the US market
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A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
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On the Seasonality in the Implied Volatility of Electricity Options
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A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices
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Multi-Factor Statistical Modelling of Demand and Spot Price of Electricity
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